Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0530 |
| Annualized Std Dev | 0.2013 |
| Annualized Sharpe (Rf=0%) | 0.2634 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5147.0000 |
| NAs | 1.0000 |
| Minimum | -0.1099 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1012 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0127 |
| Skewness | -0.2518 |
| Kurtosis | 10.7100 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.6195 |
| Historical VaR (95%) | -0.0192 |
| Historical ES (95%) | -0.0309 |
| Modified VaR (95%) | -0.0187 |
| Modified ES (95%) | -0.0304 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-10-17 | -0.6195 | 1606 | 444 | 1162 |
| 2020-01-21 | 2020-03-23 | 2021-01-12 | -0.3754 | 248 | 44 | 204 |
| 2001-05-23 | 2002-10-09 | 2004-01-21 | -0.3550 | 665 | 343 | 322 |
| 2018-01-29 | 2018-12-24 | 2019-09-13 | -0.2093 | 410 | 229 | 181 |
| 2015-06-24 | 2016-02-11 | 2016-08-15 | -0.1816 | 289 | 161 | 128 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | 0.1 | 2.1 | -0.4 | 0.7 | 0.2 | 2.7 |
| 2001 | 0.1 | -0.4 | 0.8 | 1.1 | 0 | -0.3 | 0 | 0.7 | -0.7 | 1.7 | 0.2 | 0.1 | 3.2 |
| 2002 | -0.7 | 1.5 | -0.5 | 0.7 | 0.8 | -2.2 | -2.2 | -0.3 | 3.2 | 2.3 | 0.3 | 0.3 | 3.1 |
| 2003 | 0.3 | 0.1 | 0.4 | -0.2 | 1.4 | 0.7 | -1 | 1 | 1.8 | 0.2 | 1 | 0.2 | 6.1 |
| 2004 | 0 | 1 | 0.4 | -0.2 | 0 | -0.9 | 0.1 | 0.5 | 1.6 | 0.5 | 1.1 | 0 | 4 |
| 2005 | 0.7 | 0.4 | -0.5 | 0.9 | 0.5 | 0.4 | 0 | 0.2 | 0 | -0.1 | 1.2 | -0.1 | 3.5 |
| 2006 | 0.2 | 1.1 | -0.3 | -0.4 | 1.4 | 0 | -0.2 | 0.4 | -0.3 | -0.7 | -0.2 | -0.5 | 0.3 |
| 2007 | 0.7 | -0.2 | 0.1 | 0.1 | 0.4 | -0.4 | 0.5 | 1 | 1.5 | -3.1 | 1.3 | -0.7 | 1.2 |
| 2008 | 1.9 | -3 | 3.8 | 1.8 | -0.1 | 0.4 | -0.1 | -0.9 | 0.5 | 1.6 | -9.6 | 1.9 | -2.4 |
| 2009 | -2.1 | -2.5 | 2.1 | 0.4 | 2.4 | 0.4 | 0.2 | -2.5 | -2.9 | -3.3 | 1.1 | -0.8 | -7.5 |
| 2010 | 1.4 | 1 | 0.9 | -1.6 | -2.4 | -0.5 | 0 | 3.1 | 0.5 | -0.2 | 2.1 | 0 | 4.3 |
| 2011 | 1.7 | -1.4 | 0.5 | 0.2 | -2.4 | 1.4 | -0.2 | -1.4 | -2.4 | -3.2 | -0.6 | -0.5 | -8.2 |
| 2012 | 1.3 | 0.6 | 0.2 | 0.8 | -2.5 | 2.4 | -0.5 | 0.2 | 0.3 | 1.1 | 0 | 1.8 | 5.8 |
| 2013 | 0.8 | 0.3 | -0.3 | -1.2 | -1.5 | 1.1 | 1.2 | -0.5 | 0.9 | 0.3 | -0.2 | 0.3 | 1.2 |
| 2014 | -0.8 | 0.3 | 0.6 | -0.1 | 0.1 | 0.6 | -0.5 | 0.4 | -1.4 | 1.3 | -0.5 | -1 | -1 |
| 2015 | -1.2 | -0.2 | -0.3 | 0.9 | -0.1 | 0.6 | -0.4 | -3.2 | 0.1 | -0.4 | 1 | -0.8 | -4 |
| 2016 | -0.3 | 2.3 | 0.4 | -0.5 | 0.2 | 0.4 | -0.7 | -0.1 | 1 | -0.6 | 0.1 | -0.2 | 2 |
| 2017 | -0.2 | 1.5 | -0.4 | 0 | 1.1 | 0.2 | 0.2 | 0.5 | 0.2 | 0.3 | -0.1 | -0.4 | 2.8 |
| 2018 | 0.1 | -1.1 | 1.3 | -0.2 | 0.7 | 0.1 | -0.6 | -0.1 | 0.4 | 1 | 0.6 | 0.8 | 2.9 |
| 2019 | 0.1 | 0.6 | 1.3 | -0.5 | -1.4 | 0.7 | -1.3 | 0.2 | -1.5 | 1.4 | -0.3 | 0.3 | -0.5 |
| 2020 | -1.9 | -1.3 | -4.6 | -2.8 | 0.3 | -0.2 | -0.3 | 0.1 | 0.1 | 0.1 | 0.9 | 0.8 | -8.6 |
| 2021 | 0.9 | 2.2 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
